Why I have never heard of any female movie director, I wonder ? For that, I've come across Sofia Coppola, and did a little research on her. Made a list of all her movies and asked my sister to find it for me and spent the whole week watching one movie per night before sleeping. It's a great twisted finding, I have't done this since the Life of Pi.
List of her movie :
The Virgin Suicide (1999) feat. Kristen Dunst & Josh Harnett
Lost in Translation (2003) feat. Scarlet Johansson & Bill Murray
Marie Antoinette (2006) feat. Kristen Dunst
Somewhere (2010) feat. Elle Fanning & Stephen Dorff
The Bling Ring (2013) feat. Emma Watson